this certificate was signed by an unknown authority

I need to create ipa file for testing purposes. I go to Keychian access -> Certificate assistant -> Request a certificate from a certificate authority and create some.certSigningRequest file. Then I upload that file to customer iOS Provisioning Portal and create development and distribution certificate which I download and install on my vmware mac. When I select certificate i got message: this certificate was signed by an unknown authority
Here is the image:

I am confused and don't know what can be wrong?

Any help is greatly appreciate. Thanks people...

SOLVED!

The problem was missing apple WWDR intermediate certificate.

We must also install the WWDR intermediate certificate issued by Apple’s worldwide developer relations. It can be downloaded from the portal or directly at http://developer.apple.com/certificationauthority/AppleWWDRCA.cer Make sure you add this to your keychain as well.

To add the certificate: open your keychain utility software on your Mac computer, then go to File→Import items, then select AppleWWDRCA.cer.

I commented on the accepted answer but figured I'd give a more thorough response.

Generating a Merchant ID certificate for Apple Pay yielded the warning of "This certificate was signed by an unknown authority" on the resulting cert.

Typically the "Issued by" shows "Apple Worldwide Developer Relations Certification Authority" -- however, in the case of the merchant ID cert, it was:

"Apple Worldwide Developer Relations CA - G2"

Most answers online point to the AppleWWDRCA.cer, however this didn't work because of the issuing authority -- in this case I needed AppleWWDRCAG2.cer. I was able to get this cert from here: http://www.apple.com/certificateauthority/